European Stock Markets and the ECB's Monetary Policy Surprises

Bohl MT, Siklos PL, Sondermann D


Zusammenfassung
This paper contributes to the literature measuring the response of stock markets to monetary policy actions. We analyse the reaction of European stock market returns to unexpected interest rate decisions by the European Central Bank (ECB). Endogeneity between interest rate changes and stock returns is taken into account using the identification through the heteroscedasticity approach. Relying on different methods to extract monetary policy shocks, we find a negative and significant relation between unexpected ECB decisions and European stock market performance. Moreover, monetary policy decisions of the ECB are well anticipated by the market, implying that the central bank successfully communicates its monetary policy.



Publikationstyp
Aufsatz (Zeitschrift)

Begutachtet
Ja

Publikationsstatus
Veröffentlicht

Jahr
2008

Fachzeitschrift
International Finance

Band
11

Ausgabe
2

Erste Seite
117

Letzte Seite
130

Seiten
117-130

Sprache
Englisch

ISSN
1468-2362

DOI